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IMPACT OF MACROECONOMIC ANNOUNCEMENTS ON INTEREST RATE FUTURES: HIGH‐FREQUENCY EVIDENCE FROM AUSTRALIA
Author(s) -
Smales Lee A.
Publication year - 2013
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2013.12015.x
Subject(s) - volatility (finance) , futures contract , economics , monetary economics , financial crisis , interest rate , maturity (psychological) , financial economics , econometrics , macroeconomics , psychology , developmental psychology
I investigate the behavior of Australian interest rate futures around the release of major scheduled macroeconomic announcements. The adjustment to new information occurs quickly with the majority of the reaction complete within 30 seconds. The period immediately before the announcement exhibits high volatility, low levels of volume, and wide bid–ask spreads. In the 30 seconds following the scheduled announcement there is a sharp increase in price volatility, significant positive correlation in returns, high levels of trading activity, and large adjusted returns. The reaction is stronger in shorter maturity contracts, and in the period surrounding the 2007–2008 financial crisis.